April 2023 Monthly Aggregate Trading Data

Segment Concentration as a Percentage of ADV

Segment Breakdown
B/D59.20%
EMM21.65%
Agency Algo/SOR15.78%
LT-PROP2.87%
S/Access0.23%
ECN/EXCH0.17%
HT: Agency0.09%
HT-Prop0.01%

Spread Execution Metrics

At Bid/Ask45.12%
Inside NBBO excluding Midpoint13.80%
At Midpoint*41.10%

Average Executed Notional Block Data

>$200K3.78%
$100K – $200K2.94%

Platform Latency

p-ValueMicroseconds
p016
p2521
p5023
p7525
p90100
p95271
p99761

Conditional Order Statistics

  • Median response time 1.971 milliseconds
  • Average firm-up rate (orders) 84.33%
  • Conditional percentage of ADV 5.09%

VWAP Order Statistics

  • VWAP Block ADV 4,697,575
  • VWAP Block Unique Symbols Traded 2,966
  • VWAP Slice ADV 20,317,686
  • VWAP Slice Unique Symbols Traded 3,266

VWAP Executed Volume by Market Cap

Large Cap56.16%
Mid Cap30.41%
Small Cap13.43%

VWAP Executed Symbols by Market Cap

Large Cap824
Mid Cap1,099
Small Cap1,582

VWAP Volume Breakdown

Open to Counterparty5.31%
Open Only to Self-Match94.69%
Contra Matched0.16%
Self-Matched99.84%

Odd Lot Statistics

  • Odd Lot percentage of ADV 10.90%

LEVEL EXECUTIONS BY TRADE SIZE

Trade BasketAvg Trade SizeVolume
1 – 4997966.89%
500 – 99963110.46%
1,000 – 1,9991,2518.54%
2,000 – 4,9992,8497.12%
5,000 – 9,9996,5073.35%
≥ 10,00018,6233.63%
Trade BasketAvg Trade SizeVolume
All115100.00%
≥ 5001,24333.11%
≥ 1,0002,25522.64%
≥ 2,0004,39214.10%
≥ 5,0009,8326.97%
≥ 10,00018,6233.63%

Archives

June 2024 Aggregate Trade

May2024 Aggregate Trade

April 2024 Aggregate Trade

March 2024 Aggregate Trade Data

February 2024 Aggregate Trade Data

January 2024 Aggregate Trade Data

*VWAP Volume not included in Midpoint Volume Calculation
Figures may not total to 100% due to rounding
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